Systemic and Systematic Risks-Driven Marginal Expected Side-effect

• 成果类型: Article; Early Access
• 署名作者: Chen, Liujun; Li, Deyuan; Zhang, Zhengjun
• 署名单位: Chinese Academy of Sciences; University of Science & Technology of China, CAS; Fudan University; Beijing University of Chinese Medicine; Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459; 1537-274X
• DOI: 10.1080/01621459.2026.2615848
• 发表日期: 2026-03-23
• 关键词: Conditional extremes; Heavy-tails; risk analysis; Tail (in)dependence; Tail risk; extreme; dependence; INDEPENDENCE; shortfall; inference

摘要

System-wide stress events (SWSE) can occur in social, economic, financial, environmental, medical, and many other systems. An SWSE can cause severe damage to some or all members in the system. Understanding and measuring the marginal expected side-effect (MES) for each member caused by an SWSE can lead to better risk management and decision-making. This article defines an SWSE as a scenario in which either a representative systematic index or the index of the worst-performing member (systemic index) in a system exceeds its respective prescribed threshold. This broadened SWSE definition introduces an innovative systemic and systematic risks-driven marginal expected side-effect (SYS2MES) index. We construct estimators for SYS2MES and establish their asymptotic theories within the multivariate extreme value theory framework, including tail dependent and tail independent scenarios, thereby enhancing its applicability to a wide range of models. The finite sample performance of the estimators is investigated in a simulation study. The advantages of SYS2MES are demonstrated by studying its application to Dow Jones' 30 stocks and COVID-19 data in the United States, yielding more meaningful results than existing approaches. Supplementary materials for this article are available online, including a standardized description of the materials available for reproducing the work.